On the robust superhedging of measurable claims

Dylan Possamaï, Guillaume Royer, Nizar Touzi

Research output: Contribution to journalArticlepeer-review


The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by van Handel, Neufeld, and Nutz. We show that the dual formulation of this problem is valid in a context suitable for martingale optimal transportation or, more generally, for optimal transportation under controlled stochastic dynamics.

Original languageEnglish (US)
JournalElectronic Communications in Probability
StatePublished - Dec 21 2013


  • Quasi-sure stochastic analysis
  • Robust hedging

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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